Optimal investment problem with complete memory on an infinite time horizon
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1640877
Abstract: Abstract This paper deals with an optimal investment problem with complete memory over an infinite time horizon, where the appreciation rate of the risky asset depends on the historical information and the wealth process is… read more here.
Keywords: complete memory; investment; investment problem; problem complete ... See more keywords